The quest can be found at the Fighters Guild in either of the Alliance's First Cities.

Millenith will ask you to craft an Iron Dagger, by first mining Iron Ore and then refining it into Iron Ingots. Ore can be found outside of the city. Once you retrieve the right materials, you'll need to make Iron Ingots with the Ore you retrieved. She then tell you to craft the Iron Dagger using your respective style material (i.e. Adamantine for Altmer or Corundum for Nords.) Once you've crafted your dagger, Millenith will then ask you to deconstruct it or some other Blacksmithing Item. Deconstructing can level up your Blacksmithing Skill. Once that's done, you'll recieve the certification.